Interest rate models: paradigm shifts in recent years
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Date: 11-05-2007
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Damiano Brigo, DerivativeFitch
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
This lecture illustrates the evolution of the quantitative framework for term structure modeling over the last 30 years. The transition from short rate models to HJM and then to market models is discussed at a general and intuitive level, motivating the changes according to the industry developments and showing how all these paradigms are still active in the market.
BIO
Damiano Brigo obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam. In 1997 he moved to financial modeling at Banca INTESA, while in 1998 he joined Banca IMI, where he has been appointed as Head of the Credit Models department, after formerly working on cross-currency and interest-rate derivatives and smile modeling. In July 2007 Damiano joined London-based DerivativeFitch as Managing Director and Global Head of the Quantitative Structured Credit Innovation (Q-SCI) team, part of the Fitch-QFR department. Over the years he has published several academic and practitioner-oriented articles in financial modeling, probability and systems theory journals. He is author of the book "Interest Rate Models: Theory and Practice" for Springer-Verlag. He is fixed income adjunct professor at Bocconi University in Milan. Damiano has also been listed as the most cited author in Risk Magazine in 2006 and is Managing Editor of the International Journal of Theoretical and Applied Finance. His current professional interests include default and credit modeling, counterparty risk, interest-rate and smile modeling and risk measurement.